Elementary financial derivatives : a guide to trading and valuation with applications

302 Pages·2016·9.46 MB·English

by  Andrew Davis Director PGCE Primary Course Durham University

CONTENTS
Cover
Title Page
Copyright
Dedication
Preface
Acknowledgments
Table of Figures
About the Companion Websites
Chapter 1: Derivative Instruments: Concepts and Definitions
1.1 Key Derivative Instruments Definitions
1.2 The Role, Risks, and Benefits of Derivatives Markets
1.3 Arbitrage
1.4 Miscellaneous
Chapter 2: Forwards And Futures
2.1 Futures Fundamentals
2.2 Forward Rate Agreements
2.3 Currency Forwards
Chapter 3: Swaps
3.1 Swaps Fundamentals
3.2 Equity, Currency, And Fx Swaps
3.3 Other Yield Curve-Dependent Swaps
Chapter 4: Options
4.1 Options Fundamentals
4.2 Pricing
4.3 Greeks
4.4 Volatility
4.5 Exotics
Literature
Index
End User License Agreement
List of Illustrations
FIGURE 2.1
FIGURE 2.2
FIGURE 2.3
FIGURE 2.4
FIGURE 2.5
FIGURE 2.6
FIGURE 2.7
FIGURE 2.8
FIGURE 2.9
FIGURE 2.10
FIGURE 2.11
FIGURE 2.12
FIGURE 2.13
FIGURE 2.14
FIGURE 2.15
FIGURE 2.16
FIGURE 2.17
FIGURE 2.18
FIGURE 2.19
FIGURE 2.20
FIGURE 2.21
FIGURE 2.22
FIGURE 2.23
FIGURE 2.24
FIGURE 2.25
FIGURE 2.26
FIGURE 3.1
FIGURE 3.2
FIGURE 3.3
FIGURE 3.4
FIGURE 3.5
FIGURE 3.6
FIGURE 3.7
FIGURE 3.8
FIGURE 3.9
FIGURE 3.10
FIGURE 3.11
FIGURE 3.12
FIGURE 3.13
FIGURE 3.14
FIGURE 3.15
FIGURE 3.16
FIGURE 3.17
FIGURE 3.18
FIGURE 4.1
FIGURE 4.2
FIGURE 4.3
FIGURE 4.4
FIGURE 4.5
FIGURE 4.6
FIGURE 4.7
FIGURE 4.8
FIGURE 4.9
FIGURE 4.10
FIGURE 4.11
FIGURE 4.12
FIGURE 4.13
FIGURE 4.14
FIGURE 4.15
FIGURE 4.16
FIGURE 4.17
FIGURE 4.18
FIGURE 4.19
FIGURE 4.20
FIGURE 4.21
FIGURE 4.22
FIGURE 4.23
FIGURE 4.24
FIGURE 4.25
FIGURE 4.26
FIGURE 4.27
FIGURE 4.28
FIGURE 4.29
FIGURE 4.30
FIGURE 4.31
FIGURE 4.32
FIGURE 4.33
FIGURE 4.34
FIGURE 4.35
FIGURE 4.36
FIGURE 4.37
FIGURE 4.38
FIGURE 4.39
FIGURE 4.40
FIGURE 4.41
FIGURE 4.42
Elementary Financial Derivatives
A Guide to Trading and Valuation with
Applications
By Jana Sacks Ph.D.
Copyright © 2016 by John Wiley & Sons, Inc. All rights reserved Published by John Wiley & Sons,
Inc., Hoboken, New Jersey Published simultaneously in Canada No part of this publication may
be reproduced, stored in a retrieval system, or transmitted in any form or by any means,
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Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best
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Library of Congress Cataloging-in-Publication Data
Sacks, Jana.
Elementary financial derivatives : a guide to trading and valuation with applications / Jana Sacks,
Ph.D.
pages cm
Includes bibliographical references and index.
ISBN 978-1-11907675-9 (hardback) 1. Derivative securities. I. Title.
HG6024.A3.S2297 2015
332.64′57–dc23
2015024277
ISBN: 9781119076759
DEDICATION
To Jonathan
PREFACE
This book is written to be an easy-to-understand introductory textbook
featuring hands-on application of presented theoretical concepts. The
intention of the book is to introduce the subject of financial derivatives in
an accessible and appealing way. The readers will be learning by doing.
In the academic environment, the book is intended to be a textbook for
an introductory course in financial derivatives.
The purpose of this book is essentially its focus on simplicity. Financial
derivatives are often regarded as financial instruments that are just too
complex to comprehend and individual investors tend to shy away. At the
same time, market professionals state that financial derivatives trades
now constitute about 40% of the overall alternative asset markets. This
book offers explanations of complex concepts in the simplest possible
form with hands-on applications through problems, case studies, and
Microsoft® Office Excel®-based modules for valuation.
The book covers all the essential parts of the derivatives market. Aside
from a section on options, it features sections on swaps and financial
engineering concepts applied primarily, but not exclusively, to the futures
markets.
The target audience is anyone who is interested in learning about
financial derivatives in a relatively short time, such as individuals
preparing for the CFA exam. I envision the readership anywhere from
business school students—online and in-class—to individual investors
interested in trading options using online trading accounts. After reading
this book, investors will be able to better understand and assess their risk
exposure and decide whether it is indeed one they are prepared to take.
The material in this book is organized into three parts: forwards and
futures, swaps, and options. There is an Instructor's Manual available on
the book's companion website hosted by John Wiley & Sons, which
includes all solutions to end-of-chapter problems. Instructors may also
obtain PowerPoint® slides from the website.
Jana Sacks